CME Group Petroleum Index
Benchmark Methodology
CME Group Benchmark Administration Limited

Version 1.8

Publication Date: 29th February 2024

Version Control2

VERSIONKEY CHANGESAPPROVAL DATE

1.0

Creation of the CME Group Petroleum Index

3rd August 2020

1.1

Various changes improving language andformulae

9th December 2020

1.2

Legal update

9th December 2020

1.3

Minor reviews of language

25th March 2021

1.4

Updates to Publication and Error Policy

26th July 2021

1.5

- Validation checks added- Weightings annual review

20th January 2022

1.6

Weighting’s review

22nd March 20231.7

Update to roll period

5th June 2023

1.8

Weighting’s review
Addition of Holiday Calendar

17th January 2024

© 2023 CME Group. All rights reserved.

Contents
1.

Introduction

4

CME Group and CME Group Benchmark Administration Limited

4

Regulatory and IOSCO Compliance

42.

CME Group Petroleum Index

5

3.

Source of Input data

6

Input data

6

Weighting of Input Data

6

4.

Calculation Methodology

7

CME Group Petroleum Index Calculation

7

Data Sufficiency

7

Expert Judgement

7

Roll Period

7

CME Group Petroleum Index Settlement Price Calculation

8

Validation Checks

95.

9Publication and Error Policy

Calculation Agent and Publication

9Error Policy

96.

Governance

10

Oversight Committee

10

Review of the Methodology

10Consultation Process

10Cessation

11Records Retention

11Auditing

11

Data Licensing and Distribution

11

Complaints Procedures

11

7.

Appendix I – Key Terms & Definitions

13

8.

Appendix II – Holiday Calendar 2024

143

© 2023 CME Group. All rights reserved.

1.

Introduction

CME Group Petroleum Index is a benchmark administered by CME Group Benchmark Administration Limited(“CBA” or “the Administrator”) and is intended to provide a single value for a basket of underlying energy
futures.

CME Group and CME Group Benchmark Administration Limited
As a leading and diverse derivatives market operator, CME Group is the parent of four U.S.-based designatedcontract markets (DCMs): Chicago Mercantile Exchange Inc. (CME), Board of Trade of the City of Chicago,Inc. (CBOT), New York Mercantile Exchange, Inc. (NYMEX), and the Commodity Exchange, Inc. (COMEX)(collectively, the CME Group Exchanges). These exchanges offer a wide range of products available acrossall major asset classes, including: futures and options based on interest rates, equity indexes, foreignexchange, energy, metals, and agricultural commodities. CME Group offers futures trading through the CME
Globex® electronic trading platform (Globex), fixed income trading via BrokerTec, foreign exchange tradingon the EBS platform, and central counterparty clearing services at CME Clearing, a division of CME. CBA
capitalizes on CME Group’s wealth of electronic transaction-based data in the calculation of its indices andbenchmarks.
CME Group Benchmark Administration Limited (CBA) is a regulated benchmarks administrator, authorized
and supervised by the UK Financial Conduct Authority (FCA). CBA is the Administrator of the CME Group
Petroleum Index, with Chicago Mercantile Exchange Group Inc. providing calculation agent and distribution
services.

Regulatory and IOSCO Compliance
CME Group Petroleum Index is a Benchmark designed on the basis of industry best practices and the IOSCO
Principles for Financial Benchmarks. This will include, but is not limited to, the creation of an OversightCommittee and a published methodology.
CBA is regulated under the UK Benchmark Regulation (BMR) 1.

1

https://www.fca.org.uk/markets/benchmarks/regulation4© 2023 CME Group. All rights reserved.

2.

CME Group Petroleum Index

CME Group Benchmark Administration Limited (CBA or the Administrator) has created the CME Group
Petroleum Index, representing a single value for a basket of underlying energy futures listed for trading onNYMEX, a CME Group Designated Contract Market (DCM).
The CME Group Petroleum Index (the Index) starting value, as calculated on launch date, 3 rd August 2020, is100, based on a Weighted Average Price (WAP) of 43.968396.
The value of the Index changes daily, relative to the movement on the underlying components, according tothe calculation methodology detailed herein.
The Index is administered by CBA, authorized and supervised by the UK Financial Conduct Authority (FCA(UK)).
The Calculation Agent of the Index is Chicago Mercantile Exchange Group Inc. (CME Group), with whom
CBA has a calculation agent agreement in place.

5© 2023 CME Group. All rights reserved.

3.

Source of Input data

Input data
The Index reflects a weighted basket of three (3) exchange traded energy futures contracts. Thesecomponents are:•NYMEX WTI Crude Oil futures (CME Group Commodity code CL) 2•

NYMEX RBOB Gasoline futures (CME Group Commodity code RB) 3•

NYMEX NY Harbor ULSD futures (CME Group Commodity code HO) 4.

Weighting of Input Data
The percentage weight of each futures contract within the Index is based on the respective average open
interest volumes for the last quarter of the calendar year, from October 1st to December 31st inclusive.
The Administrator reviews the weights of each component at the end of the calendar year and makes arecommendation to the Oversight Committee. In the event that weightings have changed by more than 3%(three percent) versus the previous year, the weights must be adjusted accordingly. Changes to the weights
will be advised to stakeholders and applied on the first day of the second quarter of the following year.
The latest review of open Interest weights for the fourth quarter of 2023, resulted in a change to the indexweightings. The table below shows the weights which will apply from 1st April 2024.

2Old Weights

New Weights from1st April 2024

WTI

75%

72%

RBOB

11%

14%

NYHO

14%

14%

https://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_contractSpecs_futures.html

3

https://www.cmegroup.com/trading/energy/refined-products/rbob-gasoline.html

4https://www.cmegroup.com/trading/energy/refined-products/heating-oil.html

6© 2023 CME Group. All rights reserved.

4.

Calculation Methodology

CME Group Petroleum Index Calculation
The Index calculation is based on the official exchange futures settlement prices of the first nearby contract
month, except during a roll period.
To ensure the consistency of calculation, the underlying components are represented in USD per barrel.
Therefore, RB and HO contracts are converted from “cents/gallon” to “USD/barrel” using a standard
conversion factor of 1 barrel = 42 US gallons.

Data Sufficiency
The calculation of the Index is based on the daily availability of settlement prices for its three futures contract
constituents. NYMEX, where the futures contracts used as inputs are traded, has in place a waterfall
methodology that always ensure a timely publication of settlement prices. Details of the settlement prices
waterfall calculation for each constituent can be found on the following CME Group web pages:
NYMEX Crude Oil
NYMEX RBOB Gasoline
NYMEX NY Harbor ULSD

Expert Judgement
CME Group Futures Daily Settlement Procedure referenced above are based on a waterfall approach
whereby a settlement price is always available, even at time of high market disruption. Notwithstanding thoserules, Expert Judgement is never exercised in determining the value of the CME Group Petroleum Index.

Roll Period
Trading liquidity of futures contracts tends to transfer from the front month to the second month around 6 days
prior to the expiry of the front month contract. During those roll periods, the settlement price used for the Index
calculation, is the weighted sum of the respective settlement prices of the front month contract and the second
month contract, smoothed according to the following weights.
Roll Period weights
Expiry Day -7
Expiry Day -6
Expiry Day -5
Expiry Day -4
Expiry Day -3
Expiry Day -2
Expiry Day -1
Expiry Day

1st month
100%
80%
60%
40%
20%0%0%0%

2nd month
0%
20%
40%
60%
80%
100%
100%
100%

Hence, two days before expiry of the front month contract, only the second month contract is used in thecalculation and so thereafter, until the next roll period.

7© 2023 CME Group. All rights reserved.

CME Group Petroleum Index Settlement Price Calculation
The daily value of the Index is calculated as per the following formula:
𝐶𝑃𝐼 𝑡 =𝑊𝐴𝑃𝑡
∗ 100
𝑊𝐴𝑃0

whereCPIt=WAPt =
WAP0 =CME Group Petroleum Index settlement at date t
Weighted Average Price at date t
Weighted Average Price at rebase date

Weighted Average Price at date t calculation:
WAPt = 𝐶𝐿𝑤 ∗ 𝐶𝐿𝑡 + 𝑈𝐿𝑆𝐷 𝑤 ∗ 42𝑔𝑎𝑙𝑏𝑏𝑙∗ 𝑈𝐿𝑆𝐷 𝑡 + 𝑅𝐵𝑂𝐵𝑤 ∗ 42𝑔𝑎𝑙𝑏𝑏𝑙∗ 𝑅𝐵𝑂𝐵𝑡Weightings:
CLw=ULSDw =RBOBw =NYMEX WTI Crude Oil weighting
NYMEX NY Harbor ULSD weighting
NYMEX RBOB Gasoline weighting

Settlement Prices:
CLt=ULSDt =RBOBt =NYMEX WTI Crude Oil settlement price in USD/bbl at date t
NYMEX NY Harbor ULSD settlement price in USD/gal at date t
NYMEX RBOB Gasoline settlement price in USD/gal at date t

Weighted Settlement Prices calculation during roll period:
CLt or ULSDt or RBOBt = (mth1 * Dr * 0.20) + mth2 * (1 - Dr * 0.20)
where
mth1
mth2
exp1
Dr====

month 1 settlement pricemonth 2 settlement priceexpiry date of mth1
(exp1 -2) – today

The input: (exp1 -2), accounts for the day-count adjustment needed to reflect front month contract roll two days
before its expiry.

8© 2023 CME Group. All rights reserved.

Validation Checks
To ensure that the input data used in the calculation are correct, the Calculation Agent validates the inputs
before the publication of the index Value. The validation checks aim to identify day-on-day changes of theinput data above a set threshold calculated as 2.33 times the standard deviation (σ) from the mean change ininputs ∆. The standard deviation is calculated as follows:∑( ∆𝑡 − 𝜇)2𝜎= √𝑁
where:∆𝑡 = change on business day tµ=∑ ∆𝑖𝑁N = 30 calendar days
The validation is performed on the final input price used for the calculation, including any adjustment occurring
over roll-over periods.
If the daily change (∆) is greater than 2.33 times the standard deviation (σ) from the mean, the Calculation
Agent must promptly inform the Benchmark Administrator and validate the input data against the respective
futures settlement prices. If the input data used in the calculation is found to be incorrect, the calculation will
be re-run.

5.

Publication and Error Policy

Calculation Agent and Publication
CME Inc is the calculation agent of the Index; a calculation agent agreement is in place between CBA andCME Inc.
The Index is calculated and published each CME Group settlement day as per the official schedule available
on the CME Group Settlement Notices calendar; the Index is published daily by 17:30 ET (05:30AM SGT +1).
A table of holidays for 2024 can be found in Appendix II.
If the Calculation Agent receives an empty or corrupted data set, it will check the integrity of the input data
and re-run the calculation. If the error persists, the previous day index value will be re-published. If theprevious day value is used for more than five consecutive business days, the Administrator must promptly
convene the Oversight Committee to assess available remedial actions.

Error Policy
If the Administrator - within 24 hours from publication - finds that there is an incorrect publication resulting
from miscalculation or inaccurate data inputs, the benchmark will be republished if the error is greater than
1% of the index value. If the difference is smaller than 1%, there will be no re-publication.

9© 2023 CME Group. All rights reserved.

6.

Governance

The Administrator operates under a comprehensive Risk and Control Framework, providing clear policies onGovernance, Oversight, Benchmark Design and Calculation, Outsourcing, Operations, Reporting ofInfringements and Business Continuity.
CBA has in place a "Three Lines of Defence" model, enabling close cross-monitoring of the governanceprocess - this being business, compliance and audit who all have a key role in ensuring that CBA meets its
regulatory requirements.

Oversight Committee
An Oversight Committee is appointed by the Administrator to review the integrity of the benchmark, in
accordance with the CBA Terms of Reference for the Oversight Committees.
The Oversight Committee will provide independent oversight of, and challenge, to the Administrator on all
aspects of the Benchmark determination process. The minutes of the Oversight Committee are madeavailable on the Administrator's website.
The Oversight Committee will escalate to the CBA Board if required.

Review of the Methodology
The Administrator constantly monitors the Benchmark Methodology and its consistency with the statedobjectives. The Benchmark Methodology is reviewed annually by the Administrator and the OversightCommittee.
The Oversight Committee approves proposed changes to the Benchmark Methodology including, but notlimited to, the structure of the Benchmark, input data used and all aspects of the Calculation Methodology.
The Oversight Committee may direct the Administrator to consult on any changes to the methodology withStakeholders and the wider market.

Consultation Process
The Administrator will engage relevant stakeholders and end-users on material changes to the Benchmark
Methodology, if required by regulation or where the Oversight Committee requests such consultation.
Changes to the Methodology are deemed material on the basis of an assessment conducted by theAdministrator and submitted to the Oversight Committee for advice and feedback.
The Administrator will publish notice of the consultation on its website, inviting feedback from stakeholders
and the wider market. Notice of a consultation will be posted at least 1 (one) month prior to the deadline forresponses. The notice will include the details of the proposed material change, the timeline and the rationale
for the change.
Findings of the consultation process and proposed changes to the Benchmark Methodology, recommended
as a result of the consultation, will be presented by the Administrator to the Oversight Committee for its
consideration.

10© 2023 CME Group. All rights reserved.

Feedback to a consultation is considered confidential, however the Administrator will publish an anonymized
summary with its conclusions, as soon as it is practical, but before implementation of any changes.

Cessation
The Administrator constantly monitors the representativeness of the Benchmark. If the Benchmark is deemed
to be unrepresentative of the underlying economic reality due to paucity of input data or systemic changes in
the related markets, the Administrator will engage the Oversight Committee at the earliest opportunity. Thesecessation arrangements are designed to mitigate cessation and transition risks.
The Oversight Committee may direct the Administrator to consult with Stakeholders as described in theConsultation Process section.
As a last resort, if no alternative arrangements are feasible, the Oversight Committee may advise theAdministrator to discontinue the Benchmark, providing Stakeholders at least 6 (six) months’ notice andassistance to explore alternative reference instruments.
The Administrator will endeavour to identify alternative benchmarks; however, this might not always be
possible due to Regulations, market conditions or suitable alternatives.
Users of the benchmark are recommended to ensure that they have adequate fallback policies andprocedures in the event of the Benchmark becoming unrepresentative of its economic interest.

Records Retention
The Administrator has in place policies for the retention of any relevant evidence and documentation related
to the determination and dissemination of the Benchmark, either in paper or in electronic format, for at least
the mandatory term of 5 (five) years.

Auditing
An internal audit process is undertaken regularly, to ensure adherence to the stated Methodology, the IOSCO
principles and regulatory requirements.
External audits can be requested at any time by the Administrator’s Board, the Oversight Committee or theinternal audit function.

Data Licensing and DistributionThe Benchmark is made available subject to execution of an Information License Agreement (ILA) together
with the appropriate Schedules. Market participants that intend to subscribe to the benchmark should contact
the Administrator at the following email address: datasales@cmegroup.com

Complaints Procedures
The CME Group EMEA / APAC Complaints Procedures sets out details on the management of customer
complaints to ensure that they are handed fairly and effectively, in a prompt and transparent manner and inaccordance with applicable regulatory requirements.

11© 2023 CME Group. All rights reserved.

Complaints will be dealt with by a senior member of staff not directly involved with the benchmark calculationand dissemination.
Information related to complaints will be stored in a restricted access area and kept for a period of at least 5(five) years following the date when the complaint was first lodged. Complaints can be submitted atinternationalcompliance@cmegroup.com

12© 2023 CME Group. All rights reserved.

7.

Appendix I – Key Terms & Definitions
TERM

DESCRIPTIONCBA

CME Group Benchmark Administration Limited

CLNYMEX WTI Crude Oil future

CME Group

Chicago Mercantile Exchange Group Inc.

FCA (UK)

Financial Conduct Authority (UK)HO

NYMEX NY Harbor ULSD future

IOSCO

International Organisation of Securities Commissions

RBNYMEX RBOB Gasoline future13© 2023 CME Group. All rights reserved.

8.

Appendix II – Holiday Calendar 2024
HOLIDAYDATENew Year’s Day

1st January 2024

Martin Luther King Day

15th January 2024

Presidents Day

19th February 2024

Good Friday

29th March 2024

Memorial Day

27th May 2024

Juneteenth

19th June 2024

Independence Day

4th July 2024

Labor Day

2nd September 2024

Columbus Day

14th October 2024

Veterans Day

11th November 2024

Thanksgiving Day

29th November 2024

Christmas Day

25th December 202414© 2023 CME Group. All rights reserved.

9.

Appendix III – Index Weighting History

Dates
3rd Aug 2020 – 31st Mar 2022
1st Apr 2022 – 31st Mar 2024
1st Apr 2024 onwards

15

CL Weight
72%
75%
72%

NYHO Weight
15%
14%
14%

RBOB Weight
13%
11%
14%

© 2023 CME Group. All rights reserved.

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